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Merge 19ecb8d into 5b9d2e2
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2 parents 5b9d2e2 + 19ecb8d commit 6a0c994
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Showing 19 changed files with 1,374 additions and 622 deletions.
1 change: 1 addition & 0 deletions tests/data/test_us_equity_pricing.py
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Expand Up @@ -74,6 +74,7 @@
index=arange(1, 7),
columns=['start_date', 'end_date'],
).astype(datetime64)
EQUITY_INFO['symbol'] = [chr(ord('A') + n) for n in range(len(EQUITY_INFO))]

TEST_QUERY_ASSETS = EQUITY_INFO.index

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1 change: 1 addition & 0 deletions tests/pipeline/test_us_equity_pricing_loader.py
View file
Expand Up @@ -91,6 +91,7 @@
index=arange(1, 7),
columns=['start_date', 'end_date'],
).astype(datetime64)
EQUITY_INFO['symbol'] = [chr(ord('A') + n) for n in range(len(EQUITY_INFO))]

TEST_QUERY_ASSETS = EQUITY_INFO.index

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10 changes: 9 additions & 1 deletion tests/test_algorithm.py
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Expand Up @@ -781,7 +781,10 @@ class TestTransformAlgorithm(WithLogger,

@classmethod
def make_futures_info(cls):
return pd.DataFrame.from_dict({3: {'multiplier': 10}}, 'index')
return pd.DataFrame.from_dict(
{3: {'multiplier': 10, 'symbol': 'F'}},
orient='index',
)

@classmethod
def make_equity_daily_bar_data(cls):
Expand Down Expand Up @@ -989,6 +992,7 @@ def test_minute_data(self, algo_class):
'start_date': start_session,
'end_date': period_end + timedelta(days=1)
}] * 2)
equities['symbol'] = ['A', 'B']
with TempDirectory() as tempdir, \
tmp_trading_env(equities=equities) as env:
sim_params = SimulationParameters(
Expand Down Expand Up @@ -2849,6 +2853,7 @@ def test_set_max_order_count(self):
metadata = pd.DataFrame.from_dict(
{
1: {
'symbol': 'SYM',
'start_date': start,
'end_date': start + timedelta(days=6)
},
Expand Down Expand Up @@ -2976,6 +2981,7 @@ def handle_data(algo, data):

def test_asset_date_bounds(self):
metadata = pd.DataFrame([{
'symbol': 'SYM',
'start_date': self.sim_params.start_session,
'end_date': '2020-01-01',
}])
Expand All @@ -2995,6 +3001,7 @@ def test_asset_date_bounds(self):
algo.run(data_portal)

metadata = pd.DataFrame([{
'symbol': 'SYM',
'start_date': '1989-01-01',
'end_date': '1990-01-01',
}])
Expand All @@ -3015,6 +3022,7 @@ def test_asset_date_bounds(self):
algo.run(data_portal)

metadata = pd.DataFrame([{
'symbol': 'SYM',
'start_date': '2020-01-01',
'end_date': '2021-01-01',
}])
Expand Down
189 changes: 129 additions & 60 deletions tests/test_assets.py
View file
Expand Up @@ -18,14 +18,14 @@
"""
from contextlib import contextmanager
from datetime import datetime, timedelta
from functools import partial
import pickle
import sys
from types import GetSetDescriptorType
from unittest import TestCase
import uuid
import warnings

from nose.tools import raises
from nose_parameterized import parameterized
from numpy import full, int32, int64
import pandas as pd
Expand All @@ -39,7 +39,6 @@
Future,
AssetDBWriter,
AssetFinder,
AssetFinderCachedEquities,
)
from zipline.assets.synthetic import (
make_commodity_future_info,
Expand Down Expand Up @@ -341,7 +340,6 @@ def test_repr(self):
self.assertIn("tick_size=0.01", reprd)
self.assertIn("multiplier=500", reprd)

@raises(AssertionError)
def test_reduce(self):
assert_equal(
pickle.loads(pickle.dumps(self.future)).to_dict(),
Expand Down Expand Up @@ -485,6 +483,97 @@ def test_lookup_symbol_fuzzy(self):
self.assertEqual(2, finder.lookup_symbol('BRK_A', None, fuzzy=True))
self.assertEqual(2, finder.lookup_symbol('BRK_A', dt, fuzzy=True))

def test_lookup_symbol_change_ticker(self):
T = partial(pd.Timestamp, tz='utc')
metadata = pd.DataFrame.from_records(
[
# sid 0
{
'symbol': 'A',
'start_date': T('2014-01-01'),
'end_date': T('2014-01-05'),
},
{
'symbol': 'B',
'start_date': T('2014-01-06'),
'end_date': T('2014-01-10'),
},

# sid 1
{
'symbol': 'C',
'start_date': T('2014-01-01'),
'end_date': T('2014-01-05'),
},
{
'symbol': 'A', # claiming the unused symbol 'A'
'start_date': T('2014-01-06'),
'end_date': T('2014-01-10'),
},
],
index=[0, 0, 1, 1],
)
self.write_assets(equities=metadata)
finder = self.asset_finder

# note: these assertions walk forward in time, starting at assertions
# about ownership before the start_date and ending with assertions
# after the end_date; new assertions should be inserted in the correct
# locations

# no one held 'A' before 01
with self.assertRaises(SymbolNotFound):
finder.lookup_symbol('A', T('2013-12-31'))

# no one held 'C' before 01
with self.assertRaises(SymbolNotFound):
finder.lookup_symbol('C', T('2013-12-31'))

for asof in pd.date_range('2014-01-01', '2014-01-05', tz='utc'):
# from 01 through 05 sid 0 held 'A'
assert_equal(
finder.lookup_symbol('A', asof),
finder.retrieve_asset(0),
msg=str(asof),
)

# from 01 through 05 sid 1 held 'C'
assert_equal(
finder.lookup_symbol('C', asof),
finder.retrieve_asset(1),
msg=str(asof),
)

# no one held 'B' before 06
with self.assertRaises(SymbolNotFound):
finder.lookup_symbol('B', T('2014-01-05'))

# no one held 'C' after 06, however, no one has claimed it yet
# so it still maps to sid 1
assert_equal(
finder.lookup_symbol('C', T('2014-01-07')),
finder.retrieve_asset(1),
)

for asof in pd.date_range('2014-01-06', '2014-01-11', tz='utc'):
# from 06 through 10 sid 0 held 'B'
# we test through the 11th because sid 1 is the last to hold 'B'
# so it should ffill
assert_equal(
finder.lookup_symbol('B', asof),
finder.retrieve_asset(0),
msg=str(asof),
)

# from 06 through 10 sid 1 held 'A'
# we test through the 11th because sid 1 is the last to hold 'A'
# so it should ffill
assert_equal(
finder.lookup_symbol('A', asof),
finder.retrieve_asset(1),
msg=str(asof),
)

def test_lookup_symbol(self):

# Incrementing by two so that start and end dates for each
Expand Down Expand Up @@ -519,27 +608,7 @@ def test_lookup_symbol(self):
self.assertEqual(result.symbol, 'EXISTING')
self.assertEqual(result.sid, i)

def test_lookup_symbol_from_multiple_valid(self):
# This test asserts that we resolve conflicts in accordance with the
# following rules when we have multiple assets holding the same symbol
# at the same time:

# If multiple SIDs exist for symbol S at time T, return the candidate
# SID whose start_date is highest. (200 cases)

# If multiple SIDs exist for symbol S at time T, the best candidate
# SIDs share the highest start_date, return the SID with the highest
# end_date. (34 cases)

# It is the opinion of the author (ssanderson) that we should consider
# this malformed input and fail here. But this is the current indended
# behavior of the code, and I accidentally broke it while refactoring.
# These will serve as regression tests until the time comes that we
# decide to enforce this as an error.

# See https://github.com/quantopian/zipline/issues/837 for more
# details.

def test_fail_to_write_overlapping_data(self):
df = pd.DataFrame.from_records(
[
{
Expand Down Expand Up @@ -568,22 +637,22 @@ def test_lookup_symbol_from_multiple_valid(self):
]
)

self.write_assets(equities=df)

def check(expected_sid, date):
result = self.asset_finder.lookup_symbol(
'MULTIPLE', date,
)
self.assertEqual(result.symbol, 'MULTIPLE')
self.assertEqual(result.sid, expected_sid)
with self.assertRaises(ValueError) as e:
self.write_assets(equities=df)

# Sids 1 and 2 are eligible here. We should get asset 2 because it
# has the later end_date.
check(2, pd.Timestamp('2010-12-31'))

# Sids 1, 2, and 3 are eligible here. We should get sid 3 because
# it has a later start_date
check(3, pd.Timestamp('2011-01-01'))
self.assertEqual(
str(e.exception),
"Ambiguous ownership for 1 symbol, multiple assets held the"
" following symbols:\n"
"MULTIPLE:\n"
" intersections: (('2010-01-01 00:00:00', '2012-01-01 00:00:00'),"
" ('2011-01-01 00:00:00', '2012-01-01 00:00:00'))\n"
" start_date end_date\n"
" sid \n"
" 1 2010-01-01 2012-01-01\n"
" 2 2010-01-01 2013-01-01\n"
" 3 2011-01-01 2012-01-01"
)

def test_lookup_generic(self):
"""
Expand Down Expand Up @@ -1000,14 +1069,6 @@ def test_error_message_plurality(self,
)


class AssetFinderCachedEquitiesTestCase(AssetFinderTestCase):
asset_finder_type = AssetFinderCachedEquities

def write_assets(self, **kwargs):
super(AssetFinderCachedEquitiesTestCase, self).write_assets(**kwargs)
self.asset_finder.rehash_equities()


class TestFutureChain(WithAssetFinder, ZiplineTestCase):
@classmethod
def make_futures_info(cls):
Expand Down Expand Up @@ -1259,15 +1320,23 @@ def test_check_version(self):
version_table = self.metadata.tables['version_info']

# This should not raise an error
check_version_info(version_table, ASSET_DB_VERSION)
check_version_info(self.engine, version_table, ASSET_DB_VERSION)

# This should fail because the version is too low
with self.assertRaises(AssetDBVersionError):
check_version_info(version_table, ASSET_DB_VERSION - 1)
check_version_info(
self.engine,
version_table,
ASSET_DB_VERSION - 1,
)

# This should fail because the version is too high
with self.assertRaises(AssetDBVersionError):
check_version_info(version_table, ASSET_DB_VERSION + 1)
check_version_info(
self.engine,
version_table,
ASSET_DB_VERSION + 1,
)

def test_write_version(self):
version_table = self.metadata.tables['version_info']
Expand All @@ -1279,33 +1348,33 @@ def test_write_version(self):
# This should fail because the table has no version info and is,
# therefore, consdered v0
with self.assertRaises(AssetDBVersionError):
check_version_info(version_table, -2)
check_version_info(self.engine, version_table, -2)

# This should not raise an error because the version has been written
write_version_info(version_table, -2)
check_version_info(version_table, -2)
write_version_info(self.engine, version_table, -2)
check_version_info(self.engine, version_table, -2)

# Assert that the version is in the table and correct
self.assertEqual(sa.select((version_table.c.version,)).scalar(), -2)

# Assert that trying to overwrite the version fails
with self.assertRaises(sa.exc.IntegrityError):
write_version_info(version_table, -3)
write_version_info(self.engine, version_table, -3)

def test_finder_checks_version(self):
version_table = self.metadata.tables['version_info']
version_table.delete().execute()
write_version_info(version_table, -2)
check_version_info(version_table, -2)
write_version_info(self.engine, version_table, -2)
check_version_info(self.engine, version_table, -2)

# Assert that trying to build a finder with a bad db raises an error
with self.assertRaises(AssetDBVersionError):
AssetFinder(engine=self.engine)

# Change the version number of the db to the correct version
version_table.delete().execute()
write_version_info(version_table, ASSET_DB_VERSION)
check_version_info(version_table, ASSET_DB_VERSION)
write_version_info(self.engine, version_table, ASSET_DB_VERSION)
check_version_info(self.engine, version_table, ASSET_DB_VERSION)

# Now that the versions match, this Finder should succeed
AssetFinder(engine=self.engine)
Expand All @@ -1318,7 +1387,7 @@ def test_downgrade(self):
downgrade(self.engine, 3)
metadata = sa.MetaData(conn)
metadata.reflect(bind=self.engine)
check_version_info(metadata.tables['version_info'], 3)
check_version_info(conn, metadata.tables['version_info'], 3)
self.assertFalse('exchange_full' in metadata.tables)

# now go all the way to v0
Expand All @@ -1328,7 +1397,7 @@ def test_downgrade(self):
metadata = sa.MetaData(conn)
metadata.reflect(bind=self.engine)
version_table = metadata.tables['version_info']
check_version_info(version_table, 0)
check_version_info(self.engine, version_table, 0)

# Check some of the v1-to-v0 downgrades
self.assertTrue('futures_contracts' in metadata.tables)
Expand Down
20 changes: 12 additions & 8 deletions tests/test_benchmark.py
View file
Expand Up @@ -45,20 +45,24 @@ def make_equity_info(cls):
return pd.DataFrame.from_dict(
{
1: {
"start_date": cls.START_DATE,
"end_date": cls.END_DATE + pd.Timedelta(days=1)
'symbol': 'A',
'start_date': cls.START_DATE,
'end_date': cls.END_DATE + pd.Timedelta(days=1)
},
2: {
"start_date": cls.START_DATE,
"end_date": cls.END_DATE + pd.Timedelta(days=1)
'symbol': 'B',
'start_date': cls.START_DATE,
'end_date': cls.END_DATE + pd.Timedelta(days=1)
},
3: {
"start_date": pd.Timestamp('2006-05-26', tz='utc'),
"end_date": pd.Timestamp('2006-08-09', tz='utc')
'symbol': 'C',
'start_date': pd.Timestamp('2006-05-26', tz='utc'),
'end_date': pd.Timestamp('2006-08-09', tz='utc')
},
4: {
"start_date": cls.START_DATE,
"end_date": cls.END_DATE + pd.Timedelta(days=1)
'symbol': 'D',
'start_date': cls.START_DATE,
'end_date': cls.END_DATE + pd.Timedelta(days=1)
},
},
orient='index',
Expand Down

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